Financial integration, international portfolio choice and the European Monetary Union

We investigate the determinants of bilateral international equity and bond portfolio reallocation across a large cross section of countries over the 1997 to 2001 period. We first argue that financial integration is not a global phenomenon, as equity and bond home biases declined significantly only among European countries, Australia, New Zealand and Singapore. Then, we show that the European Economic and Monetary Union (EMU) eased the access to the equity market and, to a larger extent, the bond market; thereby, enhancing regional financial integration in the euro area. Beside the effect of the EMU, the strongest determinants of the changes in portfolio weights are expected diversification benefits and the initial degree of underweight. JEL Classification: C13, C21, F37, G11EMU, home bias, International portfolio weights, Risk diversification

Measuring comovements by regression quantiles

This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random variable yt is lower than a given quantile, when the other random variable xt is also lower than its corresponding quantile, for any set of prespecified quantiles. Time-varying conditional quantiles are modeled via regression quantiles. The conditional probability is estimated through a simple OLS regression. We illustrate the methodology by investigating the impact of the crises of the 1990s on the major Latin American equity markets returns. Our results document significant increases in equity return co-movements during crises consistent with the presence of financial contagion. JEL Classification: C14, C22, G15codependence, conditional quantiles, semi-parametric

Hybrid resonance of Maxwell's equations in slab geometry

Hybrid resonance is a physical mechanism for the heating of a magnetic plasma. In our context hybrid resonance is a solution of the time harmonic Maxwell's equations with smooth coefficients, where the dielectric tensor is a non diagonal hermitian matrix. The main part of this work is dedicated to the construction and analysis of a mathematical solution of the hybrid resonance with the limit absorption principle. We prove that the limit solution is singular: it is constituted of a Dirac mass at the origin plus a principle value and a smooth square integrable function. The formula obtained for the plasma heating is directly related to the singularity.Comment: This published version has been edited to improve the presentation of the result

Financial integration of new EU Member States

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to the local components. We show that this measure of integration coincides with return correlation. Correlations are proxied by comovements, estimated via a regression quantile-based methodology. We find that the largest new member states, the Czech Republic, Hungary and Poland, exhibit strong comovements both between themselves and with the euro area. As for smaller countries, only Estonia and to a less extent Cyprus show increased integration both with the euro zone and the block of large economies. In the bond markets, we document an increase in integration only for the Czech Republic versus Germany and Poland. JEL Classification: C32, F30, G12integration, new EU member states, regression quantile

Water clustering in polychloroprene

Water sorption has been studied gravimetrically for polychloroprene rubber samples, first at a fixed hygrometric ratio (98% HR) and several temperatures (25, 40, 60 and 80 °C) for samples of 1.8 and 3.8 mm thickness (Constant Temperature and Hygrometry, CTH experiments), then at fixed temperature (40 °C) and several hygrometric ratios ranging from 0 to 95% HR on samples of 0.1 mm thickness (DVS experiments). CTH experiments reveal an abnormal sorption behavior: after an apparently fickian transient period, the water absorption continues at almost constant rate, no equilibrium is observed after more than 2500 h, whatever the temperature. DVS experiments reveal a very low Henry's solubility but the formation of clusters at water activities higher than 40%. The water diffusivity is almost independent of activity below 50% HR and decreases rapidly when activity increases above 50%. Contrary to CTH experiments, equilibrium is reached in DVS and the difference is not simply linked to the well-known effect of sample thickness on diffusion rate. The results allow hypotheses such as hydrolysis or osmotic cracking to explain the abnormal sorption phenomenon to be rejected. It is suggested that clusters could be polymer-water complexes having a linear/branched structure able to grow without phase separation that could explain the reversibility of sorption-desorption cycles. The difference of behavior between thin 0.1 mm and thicker 1.8 or 3.8 mm samples could be due to an effect of swelling stresses

Oxidation of unvulcanized, unstabilized polychloroprene: A kinetic study

Thermal oxidation in air at atmospheric pressure, in the 80-140 °C temperature range and in oxygen at 100 °C in the 0.02-3 MPa pressure range, of unvulcanized, unstabilized, unfilled polychloroprene (CR) has been characterized using FTIR and chlorine concentration measurement. The kinetic analysis was focused on double bond consumption. A mechanistic scheme involving unimolecular and bimolecular hydroperoxide decomposition, oxygen addition to alkyl radicals, hydrogen abstraction on allylic methylenes, alkyl and peroxyl additions to double bonds and terminations involving alkyl and peroxy radicals was elaborated. The corresponding rate constants were partly extracted from the literature and partly determined from experimental data using the kinetic model derived from the mechanistic scheme in an inverse approach. Among the specificities of polychloroprene, the following were revealed: The rate of double bond consumption is a hyperbolic function of oxygen pressure that allows a law previously established for the oxidation of saturated substrates to be generalized. CR oxidation is characterized by the absence of an induction period that reveals the instability of hydroperoxides. The kinetic analysis also reveals that peroxyl addition is faster than hydrogen abstraction but slower in CR than in common hydrocarbon polydienes

Sur l'estimation du support d'une densité

International audienceEtant donnée une densité de probabilité multivariée inconnue $f$ à support compact et un $n$-échantillon i.i.d. issu de $f$, nous étudions l'estimateur du support de $f$ défini par l'union des boules de rayon $r_n$ centrées sur les observations. Afin de mesurer la qualité de l'estimation, nous utilisons un critère général fondé sur le volume de la différence symétrique. Sous quelques hypothèses peu restrictives, et en utilisant des outils de la géométrie riemannienne, nous établissons les vitesses de convergence exactes de l'estimateur du support tout en examinant les conséquences statistiques de ces résultats

Measuring comovements by regression quantiles

This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random variable yt is lower than a given quantile, when the other random variable xt is also lower than its corresponding quantile, for any set of prespecified quantiles. Time-varying conditional quantiles are modeled via regression quantiles. The conditional probability is estimated through a simple OLS regression. We illustrate the methodology by investigating the impact of the crises of the 1990s on the major Latin American equity markets returns. Our results document significant increases in equity return co-movements during crises consistent with the presence of financial contagion

The Effects of the Length of the Period of Commitment on the Size of Stable International Environmental Agreements

This paper extends the standard model of self-enforcing dynamic international environmental agreements by allowing the length of the period of commitment of such agreements to vary as a parameter. It analyzes the pattern of behavior of the size of stable coalitions, the stock of pollutant and the emission rate as a function of the length of the period of commitment. It is shown that the length of the period of commitment can have very significant effects on the equilibrium. Three distinct intervals for the length of the period of commitment are identified, across which the equilibrium and its dynamic behavior differ considerably. Whereas for sufficiently high values of the period of commitment only self-enforcing agreements of two countries are possible, for sufficiently low such values full cooperation can be generated. Lengths of periods of commitment between those two thresholds are characterized by an inverse relationship between the length of commitment and the membership size of the agreement. This suggests that considerable attention should be given to the determination of the length of such international agreements